Credit derivatives: CDOs and structured credit products

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John Wiley & Sons (Asia), May 9, 2005 - Business & Economics - 800 pages
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The Third Edition of Credit Derivatives is a complete reference work offering comprehensive information on credit derivative products, applications, pricing/valuation approaches, documentation issues and accounting/taxation aspects of such transactions.

Previous editions have consisted of a number of chapters written by the author and a collection of papers from leading market practitioners. This edition departs from the previous format -- all chapters have been written by the author, Satyajit Das.

Key areas of new and enhanced coverage include:

  • Inclusion of latest developments in documentation (the 2003 Credit Derivative Definitions and market developments such as Master Confirmations).
  • Description of developments in structured credit products, including portfolio products, up-front credit default swaps, quanto credit default swaps, credit swaptions, zero recovery credit default swaps, first-to-default swaps/ Nth –to-default swaps, and many more.
  • Increased coverage of credit linked notes including repackaging structures.
  • Detailed discussion of the collateralized debt obligations (CDO) market, including CDO structures, pricing and valuation, rating methodology, CDO variations, single tranche CDOs, hedging of CDO tranches, behavior of CDO tranche (equity, mezzanine, senior and super senior) investments.
  • Increased coverage of pricing of credit default swaps (including models and valuation approaches) and discussion of cash-synthetic basis and its causes and behavior.
  • Coverage of E2C (equity to credit) hedging.
  • Detailed examples of applications of credit derivatives by different market participants.
  • Discussion of trading in credit derivatives including more complex trading strategies such as basis trading and capital structure arbitrage trades.
  • Updated coverage of regulatory framework for credit derivatives.
  • Updated discussion of market structures, developments and prospects.

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Contents

Credit Derivative Products l
101
Structured Credit Products
153
Credit Linked Notes
239
Collateralised Debt Obligations
305
Credit Derivatives Pricing and Valuation
459
Credit ModellingCredit Portfolio Management
533
Credit Derivative Applications
611
Credit Derivative Markets
709
Copyright

About the author (2005)

Satyajit Das is an international specialist in the area of financial derivatives, risk management and capital markets. Since 1994, he has been a consultant to financial institutions and corporations on derivatives and financial products and risk management issues. He presents seminars on financial derivatives/ risk management and capital markets in Europe, North America, Asia and Australia.

Between 1988 and 1994, Das was the Treasurer of the TNT Group, an Australian based international transport and logistics company with responsibility for the Global Treasury function, including liquidity management, corporate finance, funding/ capital markets and financial risk management. Between 1977 and 1987, he worked in banking with the Commonwealth Bank of Australia, Citicorp Investment Bank and Merrill Lynch Capital Markets specializing in capital markets and risk management / derivative products.

Das holds Bachelors' degrees in Commerce (Accounting, Finance and Systems) and Law from the University of New South Wales and a Masters Degree in Business Administration from the Australian Graduate School of Management.

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